I feel that the worst thing about playing evil (which I'm currently doing) is the fact, which Memnoch mentioned, that you get less XPs and treasure. Especially early in the game, you need all of the gold and XPs you can get to level up quickly. I've dualled a 9th level Berserker to Thief and I'm desperately trying to get him up to 10th level as quickly as possible.
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Now where did I leave that doughnut?!